Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 8 | 7 | 8 |
| Score | 4.24 | 3.16 | 3.92 |
| Market Cap (Millions USD) | 1210.06 | 1192.24 | 1187 |
| Predicted Beta | 1.65 | 1.64 | 1.6 |
| Idiosyncratic Volatility | 0.85 | 0.91 | 0.89 |
Annualized return and volatility
| IYY | |
|---|---|
| Annualized Return | 0.0617 |
| Annualized Std Dev | 0.1838 |
| Annualized Sharpe (Rf=0%) | 0.3358 |
Row
Daily Return Statistics
| IYY | |
|---|---|
| Observations | 4996.0000 |
| NAs | 118.0000 |
| Minimum | -0.0937 |
| Quartile 1 | -0.0044 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1007 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | -0.1126 |
| Kurtosis | 7.7215 |
Downside Risk
| IYY | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5516 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0281 |
| Modified VaR (95%) | -0.0173 |
| Modified ES (95%) | -0.0280 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-03-13 | -0.5516 | 1133 | 364 | 769 |
| 2000-09-05 | 2002-10-09 | 2006-10-12 | -0.4849 | 1562 | 534 | 1028 |
| 2018-09-21 | 2018-12-24 | 2019-04-16 | -0.1987 | 144 | 66 | 78 |
| 2015-06-24 | 2016-02-11 | 2016-06-07 | -0.1448 | 245 | 164 | 81 |
| 2012-04-03 | 2012-06-04 | 2012-08-17 | -0.1001 | 97 | 43 | 54 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.3 | 0.0 | -0.9 | 0.8 | 0 | 0.2 |
| 2001 | -0.3 | 0.1 | 0.0 | 1.4 | 0.5 | 0.0 | 0.6 | 0.0 | 0.0 | 2.6 | 0.0 | 0 | 5.1 |
| 2002 | -0.3 | 1.7 | -0.3 | 0.4 | 0.0 | -1.9 | -2.7 | 0.0 | 4.4 | 1.8 | 0.0 | 0 | 2.9 |
| 2003 | 0.0 | 0.0 | -0.1 | 0.1 | 0.0 | 0.2 | -1.0 | 0.0 | 2.1 | 0.0 | 0.9 | 0 | 2.3 |
| 2004 | 0.0 | 0.9 | 0.4 | 0.0 | 0.1 | -1.1 | 0.0 | 0.3 | 1.4 | 0.0 | 1.5 | 0 | 3.6 |
| 2005 | 0.7 | 0.6 | -0.5 | 0.0 | 0.7 | 0.2 | 0.1 | 0.6 | 0.0 | -0.3 | 1.2 | 0 | 3.2 |
| 2006 | 0.2 | 1.0 | 0.0 | -0.6 | 1.3 | 0.0 | -0.6 | 0.6 | 0.0 | -0.6 | -0.3 | 0 | 1.1 |
| 2007 | 0.8 | -0.3 | 0.0 | 0.3 | 0.4 | 0.0 | 0.6 | 0.0 | 1.3 | -2.4 | 0.0 | 0 | 0.6 |
| 2008 | 1.6 | 0.0 | 3.6 | 1.8 | 0.0 | 0.3 | -0.4 | 0.0 | -0.4 | 0.0 | -8.8 | 0 | -2.8 |
| 2009 | 0.0 | 0.0 | 1.8 | 0.5 | 2.8 | 0.4 | 0.0 | -2.3 | -2.5 | 0.0 | 1.2 | 0 | 1.7 |
| 2010 | 1.3 | 1.1 | 0.7 | 0.0 | -2.0 | -0.4 | 0.0 | 3.0 | 0.4 | -0.1 | 2.1 | 0 | 6.2 |
| 2011 | 1.7 | -1.6 | 0.4 | 0.0 | -2.2 | 1.5 | -0.5 | -1.2 | 0.0 | -2.7 | -0.3 | 0 | -4.9 |
| 2012 | 1.0 | 0.8 | 0.0 | 0.5 | -2.5 | 0.0 | -0.3 | 0.0 | 0.2 | 1.1 | 0.0 | 0 | 0.8 |
| 2013 | 1.0 | 0.3 | -0.5 | -0.9 | 0.0 | 0.9 | 1.2 | 0.0 | 0.9 | 0.2 | 0.0 | 0 | 3.0 |
| 2014 | 0.0 | 0.0 | 0.8 | 0.0 | 0.0 | 0.8 | -0.3 | 0.0 | -1.4 | 0.0 | -0.8 | 0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.6 | 1.0 | 0.3 | 0.6 | 0.0 | -2.9 | 0.1 | 0.0 | 0.9 | 0 | -0.8 |
| 2016 | 0.2 | 2.4 | 0.6 | 0.0 | 0.2 | 0.2 | -0.2 | 0.0 | 0.0 | -1.0 | -0.4 | 0 | 1.9 |
| 2017 | 0.0 | 1.3 | 0.0 | 0.4 | 0.8 | 0.0 | 0.2 | 0.2 | 0.0 | 0.1 | -0.2 | 0 | 2.8 |
| 2018 | 0.0 | -1.3 | 0.0 | 0.2 | 1.0 | 0.0 | -0.1 | 0.0 | 0.3 | 1.2 | 0.0 | 0 | 1.3 |
| 2019 | 0.1 | 0.7 | 1.2 | -0.7 | 0.0 | 0.7 | -1.0 | 0.0 | -1.3 | 1.0 | 0.0 | 0 | 0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
